Calibration of implied volatility for the exchange rate for the Chinese Yuan from its derivatives

J. Liang; Y. Gao

Year of publication:	2012
Authors:	Liang, Jin ; Gao, Y.
Published in:	Economic modelling. - Amsterdam [u.a.] : Elsevier, ISSN 0264-9993, ZDB-ID 86824-3. - Vol. 29.2012, 4, p. 1278-1285
Subject:	Chinese Yuan derivatives \| Interest rate parity \| Stochastic interest rate adjustment \| Market implied volatility \| Revised implied volatility \| Volatilität \| Volatility \| Derivat \| Derivative \| Wechselkurs \| Exchange rate \| China \| Zinsparität \| Zinsstruktur \| Yield curve \| Optionspreistheorie \| Option pricing theory \| Renminbi \| Optionsgeschäft \| Option trading \| Zinsderivat \| Interest rate derivative

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